Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market

We provide an analytical discussion of the optimal hedge ratio under discrepancies between the futures market price and its theoretical valuation according to the cost-of-carry model. Assuming a geometric Brownian motion for spot prices, we model mispricing as a speci…c noise component in the dynamics of futures market prices. Empirical evidence on the model is provided for the Spanish stock index futures. Ex-ante simulations with actual data reveal that hedge ratios that take into account the estimated, time-varying, correlation between the common and specific disturbances, lead to using a lower number of futures contracts than under a systematic unit ratio, without generally losing hedging e¤ectiveness, while reducing transaction costs and capital requirements. Besides, the reduction in the number of contracts can be substantial over some periods. Finally, a meanvariance expected utility function suggests that the economic benefits from an optimal hedge are substantial.Optimal hedging; Futures contract; Stock Index; GARCH models; Mispricing.

RIP2 plays a role in cardiac Ca2+ mishandling prompted by chronic kidney disease

post-print81,7 K

Capillary Condensation and Interface Structure of a Model Colloid-Polymer Mixture in a Porous Medium

We consider the Asakura-Oosawa model of hard sphere colloids and ideal polymers in contact with a porous matrix modeled by immobilized configurations of hard spheres. For this ternary mixture a fundamental measure density functional theory is employed, where the matrix particles are quenched and the colloids and polymers are annealed, i.e. allowed to equilibrate. We study capillary condensation of the mixture in a tiny sample of matrix as well as demixing and the fluid-fluid interface inside a bulk matrix. Density profiles normal to the interface and surface tensions are calculated and compared to the case without matrix. Two kinds of matrices are considered: (i) colloid-sized matrix particles at low packing fractions and (ii) large matrix particles at high packing fractions. These two cases show fundamentally different behavior and should both be experimentally realizable. Furthermore, we argue that capillary condensation of a colloidal suspension could be experimentally accessible. We find that in case (ii), even at high packing fractions, the main effect of the matrix is to exclude volume and, to high accuracy, the results can be mapped onto those of the same system without matrix via a simple rescaling.Comment: 12 pages, 9 figures, submitted to PR

Compilation of parameterized seismogenic sources in Iberia for the SHARE European-scale seismic source model.

Abstract: SHARE (Seismic Hazard Harmonization in Europe) is an EC-funded project (FP7) that aims to evaluate European seismic hazards using an integrated, standardized approach. In the context of SHARE, we are compiling a fully-parameterized active fault database for Iberia and the nearby offshore region. The principal goal of this initiative is for fault sources in the Iberian region to be represented in SHARE and incorporated into the source model that will be used to produce seismic hazard maps at the European scale. The SHARE project relies heavily on input from many regional experts throughout the Euro-Mediterranean region. At the SHARE regional meeting for Iberia, the 2010 Working Group on Iberian Seismogenic Sources (WGISS) was established; these researchers are contributing to this large effort by providing their data to the Iberian regional integrators in a standardized format. The development of the SHARE Iberian active fault database is occurring in parallel with IBERFAULT, another ongoing effort to compile a database of active faults in the Iberian region. The SHARE Iberian active fault database synthesizes a wide range of geological and geophysical observations on active seismogenic sources, and incorporates existing compilations (e.g., Cabral, 1995; Silva et al., 2008), original data contributed directly from researchers, data compiled from the literature, parameters estimated using empirical and analytical relationships, and, where necessary, parameters derived using expert judgment. The Iberian seismogenic source model derived for SHARE will be the first regional-scale source model for Iberia that includes fault data and follows an internationally standardized approach (Basili et al., 2008; 2009). This model can be used in both seismic hazard and risk analyses and will be appropriate for use in Iberian- and European-scale assessments

A personalized intervention to prevent depression in primary care: cost-effectiveness study nested into a clustered randomized trial

Background: Depression is viewed as a major and increasing public health issue, as it causes high distress in the people experiencing it and considerable financial costs to society. Efforts are being made to reduce this burden by preventing depression. A critical component of this strategy is the ability to assess the individual level and profile of risk for the development of major depression. This paper presents the cost-effectiveness of a personalized intervention based on the risk of developing depression carried out in primary care, compared with usual care. Methods: Cost-effectiveness analyses are nested within a multicentre, clustered, randomized controlled trial of a personalized intervention to prevent depression. The study was carried out in 70 primary care centres from seven cities in Spain. Two general practitioners (GPs) were randomly sampled from those prepared to participate in each centre (i.e. 140 GPs), and 3326 participants consented and were eligible to participate. The intervention included the GP communicating to the patient his/her individual risk for depression and personal risk factors and the construction by both GPs and patients of a psychosocial programme tailored to prevent depression. In addition, GPs carried out measures to activate and empower the patients, who also received a leaflet about preventing depression. GPs were trained in a 10- to 15-h workshop. Costs were measured from a societal and National Health care perspective. Qualityadjustedlife years were assessed using the EuroQOL five dimensions questionnaire. The time horizon was 18 months. Results: With a willingness-to-pay threshold of (sic)10, 000 ((sic)8568) the probability of cost-effectiveness oscillated from 83% (societal perspective) to 89% (health perspective). If the threshold was increased to (sic)30, 000 ((sic)25, 704), the probability of being considered cost-effective was 94% (societal perspective) and 96%, respectively (health perspective). The sensitivity analysis confirmed these results. Conclusions: Compared with usual care, an intervention based on personal predictors of risk of depression implemented by GPs is a cost-effective strategy to prevent depression. This type of personalized intervention in primary care should be further developed and evaluated

Seed storage conditions change the germination pattern of clonal growth plants in Mediterranean salt marshes.

8 páginas, 4 tablas, 8 figuras.The effect of salinity level and extended exposure to different salinity and flooding conditions on germination patterns of three saltmarsh clonal growth plants (Juncus subulatus, Scirpus litoralis, and S. maritimus) was studied. Seed exposure to extended flooding and saline conditions significantly affected the outcome of the germination process in a different, though predictable, way for each species, after favorable conditions for germination were restored. Tolerance of the germination process was related to the average salinity level measured during the growth/germination season at sites where established individuals of each species dominated the species cover. No relationship was found between salinity tolerance of the germination process and seed response to extended exposure to flooding and salinity conditions. The salinity response was significantly related to the conditions prevailing in the habitats of the respective species during the unfavorable (nongrowth/nongermination) season. Our results indicate that changes in salinity and hydrology while seeds are dormant affect the outcome of the seed-bank response, even when conditions at germination are identical. Because these environmental-history-dependent responses differentially affect seed germination, seedling density, and probably sexual recruitment in the studied and related species, these influences should be considered for wetland restoration and managementFinancial support from the Spanish Ministry of the Environment (MMA, project 05/99) and the Junta de Andalucía (research group 4086)enabled us to carry out the present work.Peer reviewe

Seed storage conditions change the germination pattern of clonal growth plants in Mediterranean salt marshes.

8 páginas, 4 tablas, 8 figuras.The effect of salinity level and extended exposure to different salinity and flooding conditions on germination patterns of three saltmarsh clonal growth plants (Juncus subulatus, Scirpus litoralis, and S. maritimus) was studied. Seed exposure to extended flooding and saline conditions significantly affected the outcome of the germination process in a different, though predictable, way for each species, after favorable conditions for germination were restored. Tolerance of the germination process was related to the average salinity level measured during the growth/germination season at sites where established individuals of each species dominated the species cover. No relationship was found between salinity tolerance of the germination process and seed response to extended exposure to flooding and salinity conditions. The salinity response was significantly related to the conditions prevailing in the habitats of the respective species during the unfavorable (nongrowth/nongermination) season. Our results indicate that changes in salinity and hydrology while seeds are dormant affect the outcome of the seed-bank response, even when conditions at germination are identical. Because these environmental-history-dependent responses differentially affect seed germination, seedling density, and probably sexual recruitment in the studied and related species, these influences should be considered for wetland restoration and managementFinancial support from the Spanish Ministry of the Environment (MMA, project 05/99) and the Junta de Andalucía (research group 4086)enabled us to carry out the present work.Peer reviewe

Effectiveness of an mHealth intervention combining a smartphone app and smart band on body composition in an overweight and obese population: Randomized controlled trial (EVIDENT 3 study)

Background: Mobile health (mHealth) is currently among the supporting elements that may contribute to an improvement in health markers by helping people adopt healthier lifestyles. mHealth interventions have been widely reported to achieve greater weight loss than other approaches, but their effect on body composition remains unclear. Objective: This study aimed to assess the short-term (3 months) effectiveness of a mobile app and a smart band for losing weight and changing body composition in sedentary Spanish adults who are overweight or obese. Methods: A randomized controlled, multicenter clinical trial was conducted involving the participation of 440 subjects from primary care centers, with 231 subjects in the intervention group (IG; counselling with smartphone app and smart band) and 209 in the control group (CG; counselling only). Both groups were counselled about healthy diet and physical activity. For the 3-month intervention period, the IG was trained to use a smartphone app that involved self-monitoring and tailored feedback, as well as a smart band that recorded daily physical activity (Mi Band 2, Xiaomi). Body composition was measured using the InBody 230 bioimpedance device (InBody Co., Ltd), and physical activity was measured using the International Physical Activity Questionnaire. Results: The mHealth intervention produced a greater loss of body weight (–1.97 kg, 95% CI –2.39 to –1.54) relative to standard counselling at 3 months (–1.13 kg, 95% CI –1.56 to –0.69). Comparing groups, the IG achieved a weight loss of 0.84 kg more than the CG at 3 months. The IG showed a decrease in body fat mass (BFM; –1.84 kg, 95% CI –2.48 to –1.20), percentage of body fat (PBF; –1.22%, 95% CI –1.82% to 0.62%), and BMI (–0.77 kg/m2, 95% CI –0.96 to 0.57). No significant changes were observed in any of these parameters in men; among women, there was a significant decrease in BMI in the IG compared with the CG. When subjects were grouped according to baseline BMI, the overweight group experienced a change in BFM of –1.18 kg (95% CI –2.30 to –0.06) and BMI of –0.47 kg/m2 (95% CI –0.80 to –0.13), whereas the obese group only experienced a change in BMI of –0.53 kg/m2 (95% CI –0.86 to –0.19). When the data were analyzed according to physical activity, the moderate-vigorous physical activity group showed significant changes in BFM of –1.03 kg (95% CI –1.74 to –0.33), PBF of –0.76% (95% CI –1.32% to –0.20%), and BMI of –0.5 kg/m2 (95% CI –0.83 to –0.19). Conclusions: The results from this multicenter, randomized controlled clinical trial study show that compared with standard counselling alone, adding a self-reported app and a smart band obtained beneficial results in terms of weight loss and a reduction in BFM and PBF in female subjects with a BMI less than 30 kg/m2 and a moderate-vigorous physical activity level. Nevertheless, further studies are needed to ensure that this profile benefits more than others from this intervention and to investigate modifications of this intervention to achieve a global effect

7th Drug hypersensitivity meeting: part two

No abstract availabl